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Before using any code, please read the disclaimer.

R package corresponding to Gorgi, Paolo, Peter R. Hansen, Pawel Janus and Siem Jan Koopman (2018): "Realized Wishart-GARCH: A Score-driven Multi-Asset Volatility Model",

.*Journal of Financial Econometrics*

**Computer code:**R package Wishart.

GAS package R by David Ardia, Kris Boudt, and Leopoldo Catania.

**Computer code:**R package GAS.

The 'development' version is available from GitHub at

**Development code:**Development R package GAS

and will be updated more regularly then the one from CRAN.

**Vignette:**"Generalized Autoregressive Score Models in R: The GAS Package".

R package betategarch, v3.0:

**Computer code:**R package betategarch.

**Vignette:**"betategarch: An R Package for the Simulation and Estimation of Beta-skew-t-EGARCH Models".

R package lgarch:

**Computer code:**R package lgarch.

**Working paper:**"Unbiased QML Estimation of Log-GARCH Models in the Presence of Zero Returns".

R code for simulations plus estimation of HMM with time varying transition probabilities corresponding to Bazzi, Blasques, Koopman, Lucas (2016): "Time Varying Transition Probabilities for Markov Regime Switching Models",

*Journal of Time Series Analysis*.

**Computer code by Marco Bazzi:**R package HMM.

**ReadMe file:**ReadMe.R.

Computer code corresponding to Creal, Koopman, Lucas (2013): "Generalized Autoregressive Score Models with Applications",

*Journal of Applied Econometrics*.

**Computer code:**Matlab code.Example GAS volatility program by Rutger Lit and David Kranenburg, Matlab:

**Computer code:**Matlab code, example data and readme file.

Computer code for examples in Lucas, Schaumburg, Schwaab (2018): "Bank business models at zero interest rates",

*Journal of Business and Economic Statistics*.

**Computer code:**Ox code.Computer code for Blasques, Francisco, Jiangyu Ji, and Andre Lucas (2016): "Semiparametric score driven volatility models",

*Journal of Computational Statistics and Data Analysis***100**, 58-69.

**Computer code:**Ox code.Computer code corresponding to Creal, Schwaab, Koopman, Lucas (2014): "Observation Driven Mixed-Measurement Dynamic Factor Models with an Application to Credit Risk,"

*Review of Economics and Statistics*.

**Computer code:**Ox code with macro data.Computer code corresponding to Creal, Koopman, Lucas (2013): "Generalized Autoregressive Score Models with Applications",

*Journal of Applied Econometrics*.

**Computer code:**Ox code.GAS volatility program, Ox:

**Computer code:**Ox code, example data and readme file.GAS duration program, Ox:

**Computer code:**Ox code, example data and readme file.